Problems in Certain Two-Factor Term Structure Models
Hogan, Michael
Ann. Appl. Probab., Tome 3 (1993) no. 4, p. 576-581 / Harvested from Project Euclid
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The formal solution to a two-factor option pricing model in which a short-term rate and a bond yield are taken as instrumental variables is shown to explode. There are no real-valued solutions to the diffusion equations written down for the long and short rate by Brennan and Schwartz.
Publié le : 1993-05-14
Classification:  Option pricing,  term structure,  90A09 
@article{1177005438,
     author = {Hogan, Michael},
     title = {Problems in Certain Two-Factor Term Structure Models},
     journal = {Ann. Appl. Probab.},
     volume = {3},
     number = {4},
     year = {1993},
     pages = { 576-581},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177005438}
}

Hogan, Michael. Problems in Certain Two-Factor Term Structure Models. Ann. Appl. Probab., Tome 3 (1993) no. 4, pp.  576-581. http://gdmltest.u-ga.fr/item/1177005438/